| dc.contributor.author | Caporale, Guglielmo Maria | de |
| dc.contributor.author | Zakirova, Valentina | de |
| dc.date.accessioned | 2024-08-06T14:06:32Z | |
| dc.date.available | 2024-08-06T14:06:32Z | |
| dc.date.issued | 2017 | de |
| dc.identifier.issn | 2618-7213 | de |
| dc.identifier.uri | https://www.ssoar.info/ssoar/handle/document/95733 | |
| dc.description.abstract | This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency. Specifically, OLS, GARCH, EGARCH and TGARCH models are estimated using daily data for the MICEX market index over the period Sept. 1997-Apr. 2016. The empirical results show the importance of taking into account transactions costs (proxied by the bid-ask spreads): once these are incorporated into the analysis, calendar anomalies disappear, and therefore, there is no evidence of exploitable profit opportunities based on them that would be inconsistent with market efficiency. | de |
| dc.language | en | de |
| dc.subject.ddc | Wirtschaft | de |
| dc.subject.ddc | Economics | en |
| dc.subject.other | calendar effects; Russian stock market; transaction costs | de |
| dc.title | Calendar anomalies in the Russian stock market | de |
| dc.description.review | begutachtet | de |
| dc.description.review | reviewed | en |
| dc.source.journal | Russian Journal of Economics | |
| dc.source.volume | 3 | de |
| dc.publisher.country | RUS | de |
| dc.source.issue | 1 | de |
| dc.subject.classoz | Volkswirtschaftstheorie | de |
| dc.subject.classoz | National Economy | en |
| dc.rights.licence | Creative Commons - Namensnennung, Nicht kommerz., Keine Bearbeitung 4.0 | de |
| dc.rights.licence | Creative Commons - Attribution-Noncommercial-No Derivative Works 4.0 | en |
| internal.status | formal und inhaltlich fertig erschlossen | de |
| dc.type.stock | article | de |
| dc.type.document | Zeitschriftenartikel | de |
| dc.type.document | journal article | en |
| dc.source.pageinfo | 101-108 | de |
| internal.identifier.classoz | 1090301 | |
| internal.identifier.journal | 1465 | |
| internal.identifier.document | 32 | |
| internal.identifier.ddc | 330 | |
| dc.identifier.doi | https://doi.org/10.1016/j.ruje.2017.02.007 | de |
| dc.description.pubstatus | Veröffentlichungsversion | de |
| dc.description.pubstatus | Published Version | en |
| internal.identifier.licence | 20 | |
| internal.identifier.pubstatus | 1 | |
| internal.identifier.review | 2 | |
| dc.subject.classhort | 10900 | de |
| internal.pdf.valid | false | |
| internal.pdf.wellformed | true | |
| internal.pdf.encrypted | false | |
| ssoar.urn.registration | false | de |
